Receiving Investors in the Block Market for Corporate Bonds
Description
This repository is a comprehensive resource accompanying the paper "Receiving Investors in the Block Market for Corporate Bonds" by Stacey Jacobsen and Kumar Venkataraman. It includes source codes and small-sample (masked) input datasets for replicating the study’s analysis on block trading costs in the corporate bond market. To effectively use this repository, users must download the sample datasets and adjust the directory paths within the SAS and Stata code to match their local environment. Because the data sources are non-public, the original bond identifiers have been removed and replaced by randomly generated identifiers in the sample datasets. Because small sample datasets are provided, the replicator should expect the code to run in less than ten minutes. The replicator should run the SAS code in the first step then the STATA code in the second step.
Files
Steps to reproduce
Please see README_Block_fin for details. Below is an overview. • Download the program and data files referenced above. Each data file should be stored in the same folder as the source code in the format that you download them in. • Edit ‘Combinedcode_030425FIN.sas’ to adjust the default path at line 2. • Edit ‘Combined code_STATA_030425FINAL.do’ to adjust the default path at lines 15, 16, 52, 53, 82, 83, 113, 114, 144, 152, 161, 188, 195, 204. • If needed, type ssc install reghdfe. • If needed, type ssc install outreg2. • Run ‘Combinedcode_030425FIN.sas’ • Run ‘Combined code_STATA_030425FINAL.do’